CSGS Options History — March 2009

In March 2009, CSGS traded between $12.51 and $14.28. ATM implied volatility averaged 52.3%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 4.7% (HV 20d: 47.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.83.

Notable Days

  • 2009-03-23: Highest Volume — 28 contracts
  • 2009-03-03: Largest IV spike — 30.0% change
  • 2009-03-10: Highest IV Rank — 21.3%
  • 2009-03-05: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.34$12.51$14.28$13.79$14.28
Max Pain$13.50$12.50$15.00$15.00$12.50
ATM IV52.3%41.8%58.2%41.8%44.5%
Expected Move14.9%12.0%16.6%12.0%12.8%
HV 20d47.6%37.7%54.7%40.4%52.7%
HV 60d44.3%41.5%47.0%44.8%47.0%
IV Rank17.2%9.7%21.3%9.7%11.6%
IV Percentile59.8%22.2%76.6%22.2%31.3%
Term Structure1.0%-2.8%19.5%0.4%4.5%
VWIV43.1%32.6%49.3%32.6%47.4%
Skew 25d7.1%1.1%18.5%6.3%5.7%
Skew 10d16.3%5.6%24.6%16.3%24.0%
Call IV 25d48.5%38.9%53.4%51.0%48.6%
Put IV 25d55.6%52.7%61.1%57.3%54.3%
Bid-Ask Spread %50.1833.6187.5733.7153.17
Gamma HHI0.420.260.660.350.27
Net GEX-3.8K-14.7K3.4K-8153.4K
Net DEX307.3K-55.8K578.4K311.9K-55.8K
Net VEX-2.9K-3.6K-2.6K-3.6K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0012.5012.500.00
Total Volume5.273028270
Total OI1,754.2278682,1752,157890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$13.79$15.0041.8%12.0%40.4%9.7%32.6%6.3%0.4%-815311.9K-3.6K12.5033.71N/AN/A2251,223934
2009-03-03$13.51$15.0054.3%15.6%40.0%18.6%0.0%3.8%0.6%-3.2K386.7K-3.5K0.0043.02N/AN/A001,224951
2009-03-04$13.66$15.0053.9%15.5%37.7%18.3%0.0%4.0%1.0%-2.5K361.7K-3.5K0.0044.58N/AN/A001,224951
2009-03-05$13.33$15.0057.9%16.6%37.8%21.1%0.0%6.9%-1.9%-4.1K430.6K-3.4K0.0036.87N/AN/A001,224951
2009-03-06$13.32$0.0056.7%15.5%37.8%20.2%0.0%18.5%0.1%-5.8K450.8K-3.3K0.0060.21N/AN/A001,224941
2009-03-09$12.51$0.0058.0%15.6%42.1%21.2%0.0%1.1%-1.4%-8.4K578.4K-2.9K0.0036.78N/AN/A001,224941
2009-03-10$12.93$0.0058.2%15.6%44.8%21.3%0.0%10.9%-2.0%-8.6K536.7K-3.0K0.0040.51N/AN/A001,224941
2009-03-11$12.57$0.0055.7%15.6%45.2%19.5%0.0%3.6%-1.9%-10.2K577.2K-2.8K0.0033.61N/AN/A001,223927
2009-03-12$12.70$0.0054.6%15.6%45.8%18.8%0.0%4.5%-1.9%-10.7K568.2K-2.8K0.0043.24N/AN/A001,223927
2009-03-13$12.99$0.0054.3%15.6%46.8%18.6%0.0%11.0%-2.5%-11.4K517.8K-2.8K0.0052.30N/AN/A001,223927
2009-03-16$12.61$0.0053.8%15.4%47.4%18.2%0.0%7.5%-1.8%-14.2K573.7K-2.7K0.0052.42N/AN/A001,223927
2009-03-17$12.86$0.0054.5%15.6%48.3%18.7%0.0%7.4%-2.8%-14.7K536.9K-2.6K0.0050.90N/AN/A2001,223918
2009-03-18$13.75$0.0050.5%14.5%54.4%15.9%0.0%5.6%1.7%-1.7K330.1K-3.1K0.0046.36N/AN/A101,239918
2009-03-19$13.49$0.0053.0%15.2%54.7%17.6%0.0%7.2%-1.2%-2.5K372.2K-2.8K0.0056.12N/AN/A1301,240918
2009-03-20$13.41$0.0053.0%15.2%53.3%17.6%0.0%8.3%-0.4%-4.5K381.8K-2.8K0.0035.94N/AN/A0151,240918
2009-03-23$13.95$0.0047.2%13.5%54.4%13.5%49.3%6.8%1.6%2.9K-41.4K-2.8K0.3337.66N/AN/A217518350
2009-03-24$13.25$12.5052.1%14.9%54.5%17.0%0.0%6.9%0.4%2.6K-7.7K-2.7K0.0042.45N/AN/A00531357
2009-03-25$13.44$12.5050.5%14.5%54.4%15.8%47.4%5.7%5.8%2.6K2.2K-2.7K0.0044.97N/AN/A100531357
2009-03-26$13.90$12.5043.5%12.5%51.8%10.9%0.0%6.8%3.7%2.9K-25.5K-2.8K0.0084.44N/AN/A20531357
2009-03-27$13.57$12.5056.3%16.1%51.8%20.0%0.0%8.8%-0.0%2.9K-18.4K-2.7K0.0087.07N/AN/A00533357
2009-03-30$13.73$12.5047.0%13.5%51.5%13.4%0.0%9.3%19.5%2.9K-8.5K-2.7K0.0087.57N/AN/A00533357
2009-03-31$14.28$12.5044.5%12.8%52.7%11.6%0.0%5.7%4.5%3.4K-55.8K-2.8K0.0053.17N/AN/A00533357